Wire Connections to Arduino

I'm looking for a method to make electrical connections to the Arduino.

The female connectors on the board and shields seem best suited for 22 gauge, solid connector wire, a bread boarding technique. I need something more dependable.

I have male header pins: http://tinyurl.com/7s9rs3k
that fit in plastic housings: http://tinyurl.com/72472bp
but the pins are narrow and the connection is loose.

Anyone have a better solution?

Thanks,
John-

These are the headers normally used in the shields, those boards that plug into the female headers of the Arduino:
http://www.jameco.com/webapp/wcs/stores/servlet/Product_10001_10001_160882_-1

I usually use this stuff:

More dependable? Solder wires on? Don't use the prototype board but get one with solder pads, eg:

Again I should have been more specific.

I have a Arduino Mega 2650 that I would like to use.

The straight header pins can be soldered next to the female headers on the smaller boards and their shields but there isn't a place for them on the Mega shield. With all of the Mega capabilities and pins there ought to be something better than bread boarding - something that plugs in and is easily configurable.

John-

You can use one of the breadboarding shields:

That plugs in, and then you solder stuff onto the top. Unfortunately, there doesn't seem to be one for the Mega. Maybe a wider search might find it.

Like this?
http://iteadstudio.com/store/index.php?main_page=product_info&cPath=19_21&products_id=281

I'm still stuck, unless I don't understand.

Even shields need to be connected to the Arduino Mega with underside pins. Typically these are:

http://tinyurl.com/cb8p6sw

But then one still has the problem of connecting to the female connectors with some besides hook-up wire.
With all the pins on a Mega, one would like some connector to made with female connectors that is removable, dependable, and re-configurable, as is the case with most connectors.

Mega users - what do you do?

Thanks,
John-

Not entirely sure what you are looking for, but some Mega protoshields have a double row for the I/O pins:

I solder a male pin header in the second row, and crimp Molex C-Grid/SL connectors to my wires.

That's entirely what I'm looking for - thanks!

I did have a hard time explaining; in retrospect, perhaps some photos would have helped.

John-